A modified Wilcoxon test for change points in long-range dependent time series

DOI10.1016/J.ECONLET.2020.109237MaRDI QIDQ777757zbMATH OpenOpenAlexFDO

Authors Kai Wenger, Vivien Less

Publication date 7 July 2020

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2020.109237

zbMATH Keywords

fixed bandwidth asymptoticslong memorystructural breaksWilcoxon test

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Testing for change-points in long-range dependent time series by means of a self-normalized Wilcoxon test
• Change point estimation based on Wilcoxon tests in the presence of long-range dependence
• Non-parametric change-point tests for long-range dependent data
• Power of change-point tests for long-range dependent data
• Change-point tests under local alternatives for long-range dependent processes
• Robust Wilcoxon‐Type Estimation of Change‐Point Location Under Short‐Range Dependence
• Rank-based change-point analysis for long-range dependent time series
• The effect of long-range dependence on change-point estimators
• Change-point detection with rank statistics in long-memory time-series models

Cites work

• A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
• A self-normalized approach to confidence interval construction in time series
• A simple test on structural change in long-memory time series
• Automatic Lag Selection in Covariance Matrix Estimation
• Gaussian semiparametric estimation of long range dependence
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING BANDWIDTH EQUAL TO SAMPLE SIZE
• scientific article; zbMATH DE number 1048663 (Why is no real title available?)
• Non-parametric change-point tests for long-range dependent data
• Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing
• Structural breaks in time series
• Subsampling for General Statistics under Long Range Dependence with application to change point analysis
• Testing for change-points in long-range dependent time series by means of a self-normalized Wilcoxon test
• Tests for Parameter Instability and Structural Change With Unknown Change Point

Cited in

(12)

• Testing for change-points in long-range dependent time series by means of a self-normalized Wilcoxon test
• A simple test of changes in mean in the possible presence of long-range dependence
• A simple test on structural change in long-memory time series
• Detecting a structural change in functional time series using local Wilcoxon statistic
• Change point estimation based on Wilcoxon tests in the presence of long-range dependence
• Testing for change points in time series models and limiting theorems for NED sequences
• Testing for structural change in regression with long memory processes
• Statistical tests for a single change in mean against long-range dependence
• Robust Wilcoxon‐Type Estimation of Change‐Point Location Under Short‐Range Dependence
• Non-parametric change-point tests for long-range dependent data
• Robust discrimination between long-range dependence and a change in mean
• Testing for change in long-memory stochastic volatility time series

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